CAR Options History — September 2009

In September 2009, CAR traded between $9.14 and $13.76. ATM implied volatility averaged 79.8%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 23.1%. IV traded above realized volatility by 5.2% (HV 20d: 74.5%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.68.

Notable Days

  • 2009-09-16: Highest Volume — 4,641 contracts
  • 2009-09-09: Largest IV drop — 18.4% change
  • 2009-09-08: Highest IV Rank — 26.3%
  • 2009-09-08: Largest Expected Move — 24.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.16$9.14$13.76$9.14$13.36
Max Pain$10.60$10.00$12.50$10.00$12.50
ATM IV79.8%69.8%85.5%85.3%81.6%
Expected Move23.1%21.3%24.9%24.5%23.4%
HV 20d74.5%62.8%82.6%80.7%65.3%
HV 60d73.5%67.2%77.8%77.8%70.3%
IV Rank24.1%20.4%26.3%26.2%24.8%
IV Percentile9.9%1.2%15.5%15.5%14.3%
Term Structure3.8%0.6%8.2%2.6%0.6%
VWIV80.5%75.8%86.5%84.2%78.1%
Skew 25d16.1%6.3%37.3%23.2%14.3%
Skew 10d32.0%14.3%59.0%35.6%44.1%
Call IV 25d73.4%55.6%82.2%72.3%70.9%
Put IV 25d89.6%81.8%97.4%95.5%85.2%
Bid-Ask Spread %18.1510.4426.5910.4423.09
Gamma HHI0.320.230.410.410.23
Net GEX45.8K-2.9K98.9K-2.9K46.9K
Net DEX-11.0M-15.8M-2.1M-2.1M-13.3M
Net VEX-69.6K-79.4K-63.3K-63.3K-79.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.2016.320.240.57
Total Volume1,537.7143394,6412,175461
Total OI45,313.8143,03850,40343,03850,403

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$9.14$10.0085.3%24.5%80.7%26.2%84.2%23.2%2.6%-2.9K-2.1M-63.3K0.2410.441,75442121,21221,826
2009-09-02$9.79$10.0081.7%23.4%82.6%24.8%82.4%16.0%3.3%18.5K-4.5M-67.6K0.7212.991,5201,09322,05321,733
2009-09-03$10.00$10.0080.9%23.2%82.5%24.5%80.7%37.3%6.3%14.9K-4.8M-67.7K1.4220.1521831021,76422,339
2009-09-04$10.39$10.0079.5%24.3%82.4%24.0%85.1%16.1%4.5%26.8K-6.3M-69.4K0.7517.6533725221,87222,297
2009-09-08$10.51$10.0085.5%24.9%76.5%26.3%85.4%29.9%2.9%25.8K-6.6M-66.7K1.7116.0212521421,84722,460
2009-09-09$11.39$10.0069.8%23.3%80.6%20.4%81.9%12.1%2.4%51.7K-9.9M-68.6K1.6220.736381,03621,88922,542
2009-09-10$11.92$10.0080.2%23.0%81.6%24.3%82.3%29.8%4.2%64.5K-11.6M-68.4K0.9219.1865260221,72022,832
2009-09-11$11.70$10.0078.1%22.4%81.9%23.5%80.5%21.6%5.9%62.7K-10.6M-69.2K1.2721.0158274121,64222,966
2009-09-14$11.99$10.0080.5%23.1%82.1%24.4%83.7%14.8%4.2%68.5K-11.1M-69.5K0.3918.4246118121,43323,443
2009-09-15$12.63$10.0080.0%22.9%78.4%24.2%86.5%12.9%4.3%98.9K-13.5M-69.7K0.6125.3895357821,41723,529
2009-09-16$13.08$10.0081.9%23.5%78.8%24.9%81.6%8.7%1.0%87.8K-15.2M-66.3K0.3025.103,5681,07321,42823,785
2009-09-17$13.38$10.0081.6%23.4%78.8%24.8%79.3%12.3%2.1%37.3K-15.3M-66.1K2.7916.5834496020,87824,635
2009-09-18$13.61$10.0080.7%23.1%65.3%24.5%78.2%11.8%1.9%37.2K-15.8M-67.5K0.2815.881,08330820,85625,238
2009-09-21$13.76$10.0074.2%21.3%65.3%22.0%76.9%11.4%8.2%47.3K-14.5M-66.8K0.3116.611,28540219,78123,434
2009-09-22$13.68$10.0079.3%22.7%63.5%24.0%77.2%9.2%4.3%56.7K-14.7M-70.9K0.5914.4249529420,53523,668
2009-09-23$13.22$10.0076.9%22.1%65.4%23.1%75.8%10.1%5.4%53.4K-13.3M-70.4K2.1226.5937178520,77823,873
2009-09-24$12.35$12.5078.2%22.4%68.0%23.5%77.7%11.4%6.5%31.6K-9.9M-71.0K0.8417.0581068120,93024,555
2009-09-25$12.28$12.5075.9%21.8%62.8%22.7%76.0%6.3%5.8%35.8K-9.7M-72.0K16.3215.941332,17021,45924,992
2009-09-28$13.70$12.5081.5%23.4%71.7%24.8%79.9%13.7%1.2%50.9K-14.3M-73.3K0.2011.132,61152121,51026,395
2009-09-29$13.44$12.5081.8%23.4%71.0%24.9%77.8%16.2%1.9%48.0K-13.7M-77.5K1.2816.7755671322,50827,133
2009-09-30$13.36$12.5081.6%23.4%65.3%24.8%78.1%14.3%0.6%46.9K-13.3M-79.4K0.5723.0929416722,77227,631